What happens if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a utilities risk premium, derived from the yield on Utilities Select Sector SPDR Fund (XLU)? To investigate, we apply the SACEVS methodology to the following...
“Use Short-term S&P 500 Index Indicators to Predict VIX Futures?” describes research finding a potentially exploitable relationship between S&P 500 Index short-term overbought/oversold conditions and short-term VIX futures gross returns. Do findings transfer to short-term...
Does the S&P 500 Index (SPX) or the CBOE Volatility Index (VIX) yield better short-term trading signals for stocks and VIX futures? In the May 2024 revision of his paper entitled “Chicken and Egg: Should...
Below is a weekly summary of our research findings for 7/1/24 through 7/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can artificial intelligence (AI), in the form of a deep-learning neural network, outperform human analysts in predicting stock prices at an annual horizon? In the May 2024 revision of his paper entitled “Can AI Replace...
“Countercyclical Asset Allocation Strategy” summarizes research on a simple countercyclical asset allocation strategy that systematically raises (lowers) the allocation to an asset class when its current aggregate allocation is relatively low (high). The underlying research is...
Is industry trend-following an attractive strategy over the long run? In their June 2024 paper entitled “A Century of Profitable Industry Trends”, Carlo Zarattini and Gary Antonacci evaluate the long-term performance of a long-only industry...
Is copper price a reliable leading indicator of economic activity and therefore of future corporate earnings and equity prices? To investigate, we employ the monthly price index for copper base scrap from the U.S. Bureau...
Below is a weekly summary of our research findings for 6/24/24 through 6/28/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the Buffett Indicator, the ratio of total U.S. stock market capitalization (proxied by Wilshire 5000 Total Market Index W5000) to U.S. Gross Domestic Product (GDP), a useful indicator of future U.S. stock market performance? W5000/GDP...
Are there interactions between stock return momentum and days of the week? In their March 2024 paper entitled “Same-Weekday Momentum”, Zhi Da and Xiao Zhang investigate how momentum interacts with days of the week. They...
Are the industry membership of a firm, as designated by Standard Industrial Classification (SIC) code, and the position of the firm within its industry good predictors of the performance of its stock? In their May...
Below is a weekly summary of our research findings for 6/17/24 through 6/21/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What happens to retail investor performance when brokers make trading apps game-like (gamification)? In his June 2024 paper entitled “Gamification of Stock Trading: Losers and Winners”, Eduard Yelagin examines how traders react to injections of...
A subscriber asked about the stability of the momentum measurement (lookback) interval used for strategies like the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we run two tests on each of top one...
What happens if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a real estate risk premium, derived from the yield on equity Real Estate Investment Trusts (REIT), represented by the FTSE NAREIT Equity REITs Index?...
Does the U.S. stock market have a predictable pattern of returns around ends of calendar quarters? Do funds deploy cash to bid stocks up at quarter ends to boost portfolio values in quarterly reports (with...
Below is a weekly summary of our research findings for 6/10/24 through 6/14/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Tech Equity Premium?”, a subscriber asked about substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPY or iShares Barclays 20+...
A subscriber requested validation of the performance of a simple momentum strategy that each month selects the best performing debt mutual fund based on total return over the past three months. To investigate, we test...
Below is a weekly summary of our research findings for 6/3/24 through 6/7/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are large language models such as GPT-4 as effective as professional human analysts in interpreting numerical financial statements? In their May 2024 paper entitled “Financial Statement Analysis with Large Language Models”, Alex Kim, Maximilian Muhn...
A subscriber noted and asked: “Michigan (at one point) claimed that the inflation expectations part of their survey of consumers was predictive. That was from a paper long ago. I wonder if it is still...
In response to “Money Supply (M2) and the Stock Market”, a subscriber commented: “I’ve always thought…that both M2 and velocity were needed. If there’s more money, but it is not circulating, then it doesn’t have...
in response to “Money Supply (M2) and the Stock Market”, A reader commented: “M2 cannot be an accurate money supply measure because it includes non-cash investments such as money market mutual funds. When the stock...